March 14, 2011
Good morning. Despite a rally last Friday (after news of the disaster in Japan) the S&P closed down 1.63 (1.2%) to end a fairly volatile week. The VIX was up 5.3% to close at 20.07. Putting the VIX move into real numbers, we had been doing some long premium spreads in the SPY for those in the PIP program when the price of the weekly at the money straddle (SPY@ 132, the combined price of the 132 call and 132 put) was roughly 1.50 with 4-5 trading days to go.
February 28, 2011
Good morning. Rising tensions in the Middle East caused the market to have its first down week in a while last week, with the SPY closing (despite a strong rally on Friday) at 132.33, down 2.24 (1.7%). The VIX spiked higher to finish at 19.21, up 3.32 (17%) from a very low close before the three-day weekend of 16.43.